Showing math.STShow all
3 papers · 1 filter
math.ST2026
Identifiability, Convergence and Nonparametric Estimation of Bivariate Archimax Copulas
Nicolas Dietrich, Wolfgang Trutschnig
Considering that the family of bivariate Archimax copulas contains both the Archimedean and the extreme-value class, Archimax copulas constitute a flexible family allowing to model…
math.ST2024
On differentiability and mass distributions of typical bivariate copulas
Nicolas Dietrich, Wolfgang Trutschnig
Despite the fact that copulas are commonly considered as analytically smooth/regular objects, derivatives of copulas have to be handled with care. Triggered by a recently published…
math.ST2022
On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform
Thimo M. Kasper, Nicolas Dietrich, Wolfgang Trutschnig
Motivated by a recently established result saying that within the class of bivariate Archimedean copulas standard pointwise convergence implies weak convergence of almost all condi…